Informed options trading on the implied volatility surface: A cross-sectional approach
DC Field | Value | Language |
---|---|---|
dc.contributor.author | Kim, Baeho | - |
dc.contributor.author | Kim, Da-Hea | - |
dc.contributor.author | Park, Haehean | - |
dc.date.accessioned | 2021-08-31T01:47:24Z | - |
dc.date.available | 2021-08-31T01:47:24Z | - |
dc.date.created | 2021-06-18 | - |
dc.date.issued | 2020-05 | - |
dc.identifier.issn | 0270-7314 | - |
dc.identifier.uri | https://scholar.korea.ac.kr/handle/2021.sw.korea/56250 | - |
dc.description.abstract | This study investigates the cross-sectional implication of informed options trading across different strikes and maturities. We explore the term structure perspective of the one-way information transmission from options markets to stock markets by adopting well-known option-implied volatility measures to examine stock return predictability. Using equity options data for U.S. listed stocks spanning 2000-2013, we find that the shape of the long-term implied volatility curve exhibits extra predictive power for stock returns of subsequent months even after orthogonalizing the short-term components. Our findings indicate that the inter-market information asymmetry rapidly disappears before the expiration of long-term option contracts. | - |
dc.language | English | - |
dc.language.iso | en | - |
dc.publisher | WILEY | - |
dc.subject | STOCK RETURNS | - |
dc.subject | TERM STRUCTURE | - |
dc.subject | RISK | - |
dc.subject | INFORMATION | - |
dc.subject | PRICES | - |
dc.subject | EQUILIBRIUM | - |
dc.subject | TRADERS | - |
dc.subject | MARKET | - |
dc.subject | US | - |
dc.title | Informed options trading on the implied volatility surface: A cross-sectional approach | - |
dc.type | Article | - |
dc.contributor.affiliatedAuthor | Kim, Baeho | - |
dc.identifier.doi | 10.1002/fut.22070 | - |
dc.identifier.scopusid | 2-s2.0-85075194698 | - |
dc.identifier.wosid | 000496301200001 | - |
dc.identifier.bibliographicCitation | JOURNAL OF FUTURES MARKETS, v.40, no.5, pp.776 - 803 | - |
dc.relation.isPartOf | JOURNAL OF FUTURES MARKETS | - |
dc.citation.title | JOURNAL OF FUTURES MARKETS | - |
dc.citation.volume | 40 | - |
dc.citation.number | 5 | - |
dc.citation.startPage | 776 | - |
dc.citation.endPage | 803 | - |
dc.type.rims | ART | - |
dc.type.docType | Article | - |
dc.description.journalClass | 1 | - |
dc.description.journalRegisteredClass | ssci | - |
dc.description.journalRegisteredClass | scopus | - |
dc.relation.journalResearchArea | Business & Economics | - |
dc.relation.journalWebOfScienceCategory | Business, Finance | - |
dc.subject.keywordPlus | STOCK RETURNS | - |
dc.subject.keywordPlus | TERM STRUCTURE | - |
dc.subject.keywordPlus | RISK | - |
dc.subject.keywordPlus | INFORMATION | - |
dc.subject.keywordPlus | PRICES | - |
dc.subject.keywordPlus | EQUILIBRIUM | - |
dc.subject.keywordPlus | TRADERS | - |
dc.subject.keywordPlus | MARKET | - |
dc.subject.keywordPlus | US | - |
dc.subject.keywordAuthor | equity options | - |
dc.subject.keywordAuthor | implied volatility surface | - |
dc.subject.keywordAuthor | informed options trading | - |
dc.subject.keywordAuthor | stock return predictability | - |
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